Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1201 |
| Annualized Std Dev | 0.1675 |
| Annualized Sharpe (Rf=0%) | 0.7166 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2942.0000 |
| NAs | 1.0000 |
| Minimum | -0.1078 |
| Quartile 1 | -0.0037 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0053 |
| Maximum | 0.0910 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0001 |
| Stdev | 0.0106 |
| Skewness | -0.6723 |
| Kurtosis | 13.4179 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0078 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0089 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.3636 |
| Historical VaR (95%) | -0.0162 |
| Historical ES (95%) | -0.0261 |
| Modified VaR (95%) | -0.0159 |
| Modified ES (95%) | -0.0333 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2020-11-13 | -0.3636 | 188 | 23 | 165 |
| 2011-05-02 | 2011-10-03 | 2012-02-24 | -0.1911 | 207 | 108 | 99 |
| 2018-09-19 | 2018-12-24 | 2019-04-12 | -0.1812 | 142 | 67 | 75 |
| 2010-04-26 | 2010-07-02 | 2010-11-04 | -0.1569 | 135 | 48 | 87 |
| 2015-05-22 | 2016-02-11 | 2016-07-08 | -0.1444 | 285 | 183 | 102 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | 0.1 | -1.9 | -2.3 | -2.6 | 1.2 | -0.4 | -5.8 |
| 2010 | 1.3 | 1 | 1 | -1.4 | -0.7 | -0.4 | -0.9 | 3.1 | 0.2 | -0.2 | 2 | -0.1 | 5.1 |
| 2011 | 1.6 | -1.4 | 0.5 | 0.4 | -2 | 1.6 | -0.6 | -0.9 | -0.7 | -2.8 | -0.2 | -0.3 | -4.8 |
| 2012 | 0.8 | 0.8 | 0.4 | 0.7 | -2.1 | 2.2 | 0.2 | 0.4 | 0.2 | 0.5 | 0.2 | 1.3 | 5.8 |
| 2013 | 0.7 | -0.2 | -0.5 | -0.9 | -1 | -0.2 | 1.2 | -0.6 | 0.7 | 0.2 | 0.3 | 0.4 | 0.1 |
| 2014 | -0.6 | 0.3 | 0.5 | 0 | 0.1 | 0.5 | -0.3 | 0.4 | -1.4 | 1.2 | -0.7 | -1.2 | -1.1 |
| 2015 | -1.1 | -0.1 | -0.4 | 1 | 0.1 | 0.3 | -0.2 | -2.9 | 0.2 | -0.3 | 0.7 | -0.6 | -3.4 |
| 2016 | 0.3 | 1.7 | 0.4 | -0.4 | 0.2 | 0.2 | -0.4 | -0.2 | 0.8 | -1 | -0.5 | -0.5 | 0.6 |
| 2017 | -0.1 | 1 | 0 | 0.2 | 0.7 | 0.3 | 0 | 0.3 | 0.2 | 0.2 | -0.2 | -0.2 | 2.3 |
| 2018 | -0.1 | -1.4 | 1.3 | -0.6 | 0.3 | 0.6 | -0.5 | -0.5 | 0.4 | 0.7 | 0.3 | 0.4 | 1.1 |
| 2019 | 0.1 | 0.5 | 0.9 | -0.8 | -0.8 | 0.5 | -0.9 | 0.1 | -1.3 | 0.9 | -0.3 | 0.3 | -0.7 |
| 2020 | -1.5 | -2 | -4.7 | -3.2 | 0.7 | 0.4 | 0.2 | 0.1 | -0.1 | -1.3 | 1.1 | 0.7 | -9.4 |
| 2021 | 0.9 | 2 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-07-07 24.6 SPY 88.1 -0.0194 -0.0501 -0.0686 0.0533 -0.296 -0.307 -0.213 GLD 90.7 -6.00e-4 -0.0145
2 2009-07-08 24.6 SPY 88 -0.0007 -0.043 -0.0654 0.0778 -0.308 -0.310 -0.216 GLD 89.3 -1.59e-2 -0.0209
3 2009-07-09 24.6 SPY 88.2 0.0019 -0.0451 -0.0684 0.0683 -0.294 -0.304 -0.209 GLD 89.5 2.70e-3 -0.0312
4 2009-07-10 24.5 SPY 88.0 -0.00240 -0.0206 -0.0682 0.0251 -0.298 -0.307 -0.213 GLD 89.6 8.00e-4 -0.0183
5 2009-07-13 25.0 SPY 90.1 0.0244 0.0034 -0.0498 0.0498 -0.272 -0.293 -0.194 GLD 90.2 6.80e-3 -0.0063
6 2009-07-14 25.2 SPY 90.6 0.0056 0.029 -0.047 0.0742 -0.262 -0.281 -0.19 GLD 90.8 6.90e-3 0.0011
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
